Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach

Douglas James Hodgson (), Barrett Slade () and Keith Vorkink ()

The Journal of Real Estate Finance and Economics, 2006, vol. 32, issue 2, pages 151-168

Abstract: Constant-quality commercial indices generated by ordinary least squares may suffer an efficiency loss due to leptokurtosis caused by outliers in transactions data. When the subsequent nonnormality occurs, substantial improvement in index precision is obtained by estimating the hedonic model using a semiparametric adaptive estimator technique. When this method was applied to 1,846 office transactions that occurred in the Phoenix metropolitan area from January 1997 through June 2004, a substantial standard error reduction of approximately 9% was realized relative to ordinary least squares estimates. The difference in average returns between the semiparametric method and ordinary least squares was about 0.25% in each period, which represents a substantial increase in commercial property index precision. Copyright Springer Science + Business Media, Inc. 2006

Keywords: hedonic price indices; commercial office property; semiparametric adaptive estimators (search for similar items in EconPapers)
Date: 2006
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Persistent link: http://EconPapers.repec.org/RePEc:kap:jrefec:v:32:y:2006:i:2:p:151-168

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